Corporate Valuation in an International Context with the Global CAPM from a German Perspective

in Schwetzler/Aders (Eds.), Jahrbuch der Unternehmensbewertung 2016, pp. 129-141 and pp. 143-155

BewertungsPraktiker 2/2015, pp. 50-60

BewertungsPraktiker 1/2015, pp. 2-13

35 Pages Posted: 22 Feb 2018 Last revised: 7 Oct 2018

See all articles by Santiago Ruiz de Vargas

Santiago Ruiz de Vargas

NOERR AG WPG StBG - Advisory Services

Wolfgang Breuer

RWTH Aachen University

Date Written: February 6, 2018

Abstract

The article proposes to apply the global CAPM instead of the traditional CAPM (local CAPM) used in the practice of enterprise valuation, because the increasing integration of capital markets requires a model with an international context and the local CAPM only assumes an exclusively national context. The global CAPM is presented as an alternative to account for exchange rate risks in financial surpluses and capital costs from a European perspective. The calculation of the necessary parameters (base interest rate, market risk premium and beta factor) from a German perspective is shown and applied to the DAX-listed enterprises. The resulting risk premia of the local and global CAPM are compared. Additionally, it is shown that the global CAPM provides a consistent method for formulating exchange rate forecasts that extends the forward rate method with a risk premium (risk-adjusted forward rate method).

Keywords: Corporate Valuation; Cost of Equity; Global CAPM, Local CAPM; Uncovered Interest Rate Parity; Risk-Adjusted Exchange Rate Forecasting

JEL Classification: G11; G12; G15

Suggested Citation

Ruiz de Vargas, Santiago and Breuer, Wolfgang, Corporate Valuation in an International Context with the Global CAPM from a German Perspective (February 6, 2018). in Schwetzler/Aders (Eds.), Jahrbuch der Unternehmensbewertung 2016, pp. 129-141 and pp. 143-155 ; BewertungsPraktiker 1/2015, pp. 2-13. Available at SSRN: https://ssrn.com/abstract=3119049

Santiago Ruiz de Vargas (Contact Author)

NOERR AG WPG StBG - Advisory Services ( email )

Brienner Str. 28
Munich, Bavaria 80333
Germany
+4989286280 (Phone)

HOME PAGE: http://www.noerr.com

Wolfgang Breuer

RWTH Aachen University ( email )

Templergraben 55
D-52056 Aachen, 52056
Germany

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
68
Abstract Views
263
rank
357,861
PlumX Metrics